{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,1,6]],"date-time":"2026-01-06T05:09:35Z","timestamp":1767676175699},"reference-count":35,"publisher":"Society for Industrial & Applied Mathematics (SIAM)","issue":"1","funder":[{"DOI":"10.13039\/501100001659","name":"Deutsche Forschungsgemeinschaft","doi-asserted-by":"publisher","award":["AA4-4"],"award-info":[{"award-number":["AA4-4"]}],"id":[{"id":"10.13039\/501100001659","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SIAM J. Finan. Math."],"published-print":{"date-parts":[[2023,3,31]]},"DOI":"10.1137\/20m1380922","type":"journal-article","created":{"date-parts":[[2023,1,18]],"date-time":"2023-01-18T15:19:00Z","timestamp":1674055140000},"page":"1-51","source":"Crossref","is-referenced-by-count":3,"title":["Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model"],"prefix":"10.1137","volume":"14","author":[{"given":"D\u00f6rte","family":"Kreher","sequence":"first","affiliation":[{"name":"Humboldt-Universit\u00e4t zu Berlin, Berlin, Germany."}]},{"given":"Cassandra","family":"Milbradt","sequence":"additional","affiliation":[{"name":"Humboldt-Universit\u00e4t zu Berlin, Berlin, Germany."}]}],"member":"351","published-online":{"date-parts":[[2023,1,19]]},"reference":[{"key":"ref1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi022"},{"key":"ref2","doi-asserted-by":"publisher","DOI":"10.1214\/16-AAP1265"},{"key":"ref3","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05192.x"},{"key":"ref4","doi-asserted-by":"publisher","DOI":"10.1002\/9780470316962"},{"key":"ref5","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-319-47705-3_1"},{"key":"ref6","doi-asserted-by":"publisher","DOI":"10.1016\/B978-012374258-2.50006-3"},{"key":"ref7","first-page":"20130126","volume":"469","author":"Burger M.","year":"2013","journal-title":"Proc. A"},{"key":"ref8","doi-asserted-by":"publisher","DOI":"10.1016\/j.crma.2011.05.011"},{"key":"ref9","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20334"},{"key":"ref10","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2015.05.004"},{"key":"ref11","doi-asserted-by":"publisher","DOI":"10.1137\/090753346"},{"key":"ref12","doi-asserted-by":"publisher","DOI":"10.1137\/110856605"},{"key":"ref13","doi-asserted-by":"publisher","DOI":"10.1137\/19M1254489"},{"key":"ref14","doi-asserted-by":"publisher","DOI":"10.1287\/opre.1090.0780"},{"key":"ref15","doi-asserted-by":"publisher","DOI":"10.1086\/341640"},{"key":"ref16","doi-asserted-by":"publisher","DOI":"10.1080\/14697680400008627"},{"key":"ref17","doi-asserted-by":"publisher","DOI":"10.1017\/S0269964816000413"},{"key":"ref18","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2011.09.012"},{"key":"ref19","doi-asserted-by":"publisher","DOI":"10.1137\/15M1024226"},{"key":"ref20","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-018-0373-7"},{"key":"ref21","doi-asserted-by":"publisher","DOI":"10.1016\/j.spa.2018.11.023"},{"key":"ref22","doi-asserted-by":"publisher","DOI":"10.1287\/moor.2017.0848"},{"key":"ref23","doi-asserted-by":"publisher","DOI":"10.1137\/16M1064337"},{"key":"ref24","doi-asserted-by":"publisher","DOI":"10.1007\/BFb0064907"},{"key":"ref25","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-05265-5"},{"key":"ref27","doi-asserted-by":"publisher","DOI":"10.1287\/moor.2017.0857"},{"key":"ref28","doi-asserted-by":"publisher","DOI":"10.1007\/BFb0093181"},{"key":"ref29","doi-asserted-by":"publisher","DOI":"10.1007\/s11537-007-0657-8"},{"key":"ref30","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/3\/5\/305"},{"key":"ref31","doi-asserted-by":"publisher","DOI":"10.1137\/16M1066099"},{"key":"ref32","doi-asserted-by":"publisher","DOI":"10.1007\/BFb0076302"},{"key":"ref33","volume-title":"Stochastic Integration and Differential Equations","author":"Protter P.","year":"2004","edition":"2"},{"key":"ref34","doi-asserted-by":"publisher","DOI":"10.1287\/moor.5.1.67"},{"key":"ref35","doi-asserted-by":"publisher","DOI":"10.1007\/b97479"},{"key":"ref36","doi-asserted-by":"publisher","DOI":"10.1142\/S2382626616500088"}],"container-title":["SIAM Journal on Financial Mathematics"],"original-title":[],"language":"en","deposited":{"date-parts":[[2023,10,17]],"date-time":"2023-10-17T18:12:19Z","timestamp":1697566339000},"score":1,"resource":{"primary":{"URL":"https:\/\/epubs.siam.org\/doi\/10.1137\/20M1380922"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2023,1,19]]},"references-count":35,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2023,3,31]]}},"alternative-id":["10.1137\/20M1380922"],"URL":"https:\/\/doi.org\/10.1137\/20m1380922","relation":{},"ISSN":["1945-497X"],"issn-type":[{"value":"1945-497X","type":"electronic"}],"subject":[],"published":{"date-parts":[[2023,1,19]]}}}